Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0114 |
| Annualized Std Dev | 0.0814 |
| Annualized Sharpe (Rf=0%) | -0.1405 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3545.0000 |
| NAs | 1.0000 |
| Minimum | -0.0275 |
| Quartile 1 | -0.0029 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0028 |
| Maximum | 0.0292 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0000 |
| Stdev | 0.0051 |
| Skewness | -0.0019 |
| Kurtosis | 2.6153 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0036 |
| Gain Deviation | 0.0034 |
| Loss Deviation | 0.0035 |
| Downside Deviation (MAR=210%) | 0.0097 |
| Downside Deviation (Rf=0%) | 0.0037 |
| Downside Deviation (0%) | 0.0037 |
| Maximum Drawdown | 0.3617 |
| Historical VaR (95%) | -0.0080 |
| Historical ES (95%) | -0.0117 |
| Modified VaR (95%) | -0.0082 |
| Modified ES (95%) | -0.0120 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-03-18 | 2020-03-19 | NA | -0.3617 | 3276 | 3023 | NA |
| 2007-11-27 | 2007-12-17 | 2008-02-28 | -0.0515 | 64 | 15 | 49 |
| 2007-05-01 | 2007-06-20 | 2007-06-29 | -0.0266 | 43 | 36 | 7 |
| 2007-07-25 | 2007-08-16 | 2007-09-06 | -0.0177 | 31 | 17 | 14 |
| 2007-10-01 | 2007-10-08 | 2007-10-18 | -0.0131 | 14 | 6 | 8 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | -0.2 | 0.2 | -0.2 | -0.1 | 0.7 | 0 | 0.2 | -0.1 | -0.5 | -0.6 | -0.3 | -0.7 |
| 2008 | -0.3 | -0.2 | -1.1 | -1.2 | 0.4 | 0.1 | -0.3 | -0.2 | -0.3 | -1.1 | -0.8 | -0.5 | -5.4 |
| 2009 | -0.7 | -0.5 | -0.2 | 0.2 | 0.2 | 0.7 | 1.1 | -0.7 | -0.6 | -0.6 | 0.5 | 0 | -0.5 |
| 2010 | 0.4 | -0.5 | 0.5 | 0.2 | 0.1 | 1.8 | 0 | 0.8 | 0.8 | -0.1 | 0.7 | 0.9 | 5.6 |
| 2011 | 0.9 | -0.1 | 0.1 | 0.2 | -0.3 | 0.2 | -0.6 | -0.4 | -1.1 | -1.1 | 0.2 | 0.2 | -1.9 |
| 2012 | 0.4 | 0 | 0.3 | 0 | 0.3 | 1.3 | -0.6 | 0.6 | 0.2 | -0.1 | 0.1 | 0 | 2.3 |
| 2013 | 0 | -0.3 | 0.3 | 0 | -0.3 | 0.2 | -0.9 | -0.1 | 0 | -0.6 | 0.1 | -0.1 | -1.7 |
| 2014 | -0.3 | 0.7 | 0 | 0 | 0.2 | 0 | 0.1 | -0.3 | 0.1 | -0.8 | 0.4 | -0.3 | -0.2 |
| 2015 | -0.2 | 0 | 0.2 | -0.4 | -0.5 | -0.9 | 0.4 | 0.4 | 0 | 0.4 | 0.4 | -0.5 | -0.6 |
| 2016 | 0.7 | -0.1 | 0 | 0.7 | 0.5 | 0.3 | -0.3 | 0.4 | 0 | 0.6 | 0.5 | 0.3 | 3.9 |
| 2017 | -0.1 | -0.6 | 0 | 0 | -0.2 | 0 | -0.2 | -0.2 | 0.1 | -0.3 | 0.1 | 0.3 | -0.9 |
| 2018 | 0.5 | 0.4 | 0.1 | -0.7 | -0.3 | 0.8 | -0.1 | -0.5 | -0.2 | 0.8 | -0.3 | 0.3 | 0.9 |
| 2019 | 0 | -0.3 | 0 | -0.1 | 0.4 | -0.7 | 0.2 | -0.2 | 0.2 | 0 | 0.3 | 0.5 | 0.4 |
| 2020 | 0.4 | 0.5 | -0.9 | -0.1 | 0.6 | 0.3 | -0.4 | -0.1 | 0.2 | -0.2 | 0.9 | -0.3 | 0.8 |
| 2021 | -0.5 | 0 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-20 25.0 SPY 146. 0.0021 0.0181 0.0225 0.043 0.131 0.263 0.317 GLD 65.3 -0.0158 -0.0055
2 2007-02-21 25.0 SPY 146. -0.0004 0.0091 0.0253 0.0399 0.133 0.267 0.342 GLD 67.3 0.0302 0.0219
3 2007-02-22 24.9 SPY 146. -0.0008 0.0018 0.0215 0.0388 0.135 0.270 0.319 GLD 67.2 -0.0019 0.0118
4 2007-02-23 25.0 SPY 145. -0.0039 -0.0034 0.0094 0.0342 0.124 0.268 0.342 GLD 67.7 0.0085 0.0197
5 2007-02-26 25.0 SPY 145. -0.0009 -0.0038 0.0205 0.0322 0.125 0.269 0.324 GLD 68.1 0.0056 0.0262
6 2007-02-27 25.2 SPY 140. -0.0391 -0.0448 -0.0187 -0.0101 0.078 0.214 0.252 GLD 65.4 -0.0395 0.0015
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
